Are the groups always exactly the same as the parameter? E.g. Are the users selecting from a list of countries? Are the display values for the Parameter the same as what they'll be show in the report for the Group headers? In that case, you can try this (which should work in a text box directly in the report header):

=Join(Parameters.YOURPARMNAME.Label, ",")

That will get you a comma-separated list of the labels (i.e. not the values, but what shows in the parm dropdown list) of however many user-selected parms there were (I don't know if you'll always have 5 or not).

Let us know if that works!

Cheers,

EJM